GWW Options History — July 2014

In July 2014, GWW traded between $235.15 and $255.58. ATM implied volatility averaged 20.1%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.0% (HV 20d: 14.1%). Max pain ranged from $250.00 to $250.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.59.

Notable Days

  • 2014-07-16: Highest Volume — 5,356 contracts
  • 2014-07-10: Largest IV drop — 28.2% change
  • 2014-07-09: Highest IV Rank — 72.3%
  • 2014-07-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$244.60$235.15$255.58$251.77$235.15
Max Pain$250.00$250.00$250.00$250.00$250.00
ATM IV20.1%16.1%28.1%22.6%20.4%
Expected Move5.5%4.6%6.5%6.5%5.8%
HV 20d14.1%12.6%16.8%15.9%14.7%
HV 60d15.5%14.4%18.0%18.0%15.1%
IV Rank32.5%12.4%72.3%44.6%34.4%
IV Percentile50.6%10.3%97.2%77.0%67.9%
Term Structure-0.9%-3.8%2.1%-2.2%-2.0%
VWIV19.4%15.5%23.7%23.6%20.9%
Skew 25d2.7%0.7%6.3%3.7%0.7%
Skew 10d6.0%-0.0%15.7%5.6%4.0%
Call IV 25d17.8%15.0%21.7%21.1%19.1%
Put IV 25d20.5%17.5%24.8%24.8%19.7%
Bid-Ask Spread %88.4581.1192.6789.0792.67
Gamma HHI0.240.210.400.260.23
Net GEX-1.4M-4.9M200.3K-1.3M-642.1K
Net DEX14.7M-6.7M36.0M214.2K25.5M
Net VEX-211.9K-289.8K-134.0K-163.1K-258.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.3317.093.252.19
Total Volume648.227105,35668309
Total OI8,243.4557,15312,0417,1538,583

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$251.77$250.0022.6%6.5%15.9%44.6%23.6%3.7%-2.2%-1.3M214.2K-163.1K3.2589.07N/AN/A16523,2773,876
2014-07-02$251.54$250.0022.4%6.4%15.9%43.6%22.7%2.7%-3.1%-1.5M3.0M-160.9K1.3188.29N/AN/A61803,2823,909
2014-07-03$255.58$250.0022.4%6.4%16.2%43.7%23.7%6.3%-3.8%-785.8K-6.7M-161.1K0.5390.24N/AN/A123653,3253,960
2014-07-07$250.53$250.0025.6%5.7%16.8%59.7%20.5%2.5%-0.7%-1.8M6.5M-150.2K1.3181.11N/AN/A2753613,4064,013
2014-07-08$250.81$250.0026.6%5.7%16.8%64.5%21.1%3.8%-0.6%-1.6M5.6M-152.2K2.0581.36N/AN/A971993,5124,083
2014-07-09$250.06$250.0028.1%5.8%16.4%72.3%20.2%3.5%-1.0%-1.8M7.7M-157.7K0.4484.98N/AN/A66293,5634,233
2014-07-10$247.65$250.0020.2%5.8%16.5%32.8%21.4%3.3%-1.0%-2.3M14.7M-152.4K5.2783.73N/AN/A552903,6124,212
2014-07-11$244.79$250.0022.1%6.3%12.6%43.1%21.2%3.2%-1.9%-3.1M24.0M-142.6K0.9284.26N/AN/A3603303,6314,324
2014-07-14$244.88$250.0022.0%6.3%12.6%42.5%20.2%2.8%-1.5%-3.1M22.8M-134.0K0.3383.96N/AN/A3531183,6684,448
2014-07-15$245.84$250.0020.8%5.9%12.8%36.3%21.1%3.0%-0.8%-3.1M19.7M-139.0K0.9985.86N/AN/A3773743,8354,445
2014-07-16$244.88$250.0021.6%6.2%12.7%40.8%21.1%2.9%-1.7%-3.0M21.6M-156.5K17.0986.88N/AN/A2965,0604,0744,660
2014-07-17$241.39$250.0016.8%4.8%13.0%16.1%16.5%0.7%2.1%-4.9M36.0M-213.9K0.5790.86N/AN/A2,1201,2064,2435,600
2014-07-18$242.85$250.0016.9%4.9%13.0%16.7%17.1%2.8%1.2%-1.4M27.5M-289.8K3.4688.47N/AN/A592045,9306,111
2014-07-21$240.26$250.0016.9%4.9%13.1%16.8%17.5%1.3%-0.4%5.8K12.6M-277.4K0.8992.05N/AN/A1211084,3523,395
2014-07-22$241.83$250.0016.7%4.8%13.6%15.5%15.5%3.0%-0.5%200.3K8.9M-287.6K2.6590.28N/AN/A661754,4613,489
2014-07-23$241.03$250.0016.4%4.7%12.9%14.0%17.2%2.7%-0.3%30.4K12.7M-289.2K1.5392.42N/AN/A53814,5283,633
2014-07-24$240.49$250.0016.3%4.7%12.9%13.6%16.0%2.1%-0.1%-91.9K15.1M-278.0K0.9391.63N/AN/A1291204,5023,667
2014-07-25$241.16$250.0016.1%4.6%13.1%12.4%19.1%3.3%0.2%-35.9K14.1M-288.8K0.0091.16N/AN/A0104,5943,765
2014-07-28$239.96$250.0017.0%4.9%13.1%17.3%17.2%1.9%-0.6%-216.7K16.9M-272.9K4.2192.58N/AN/A14594,6003,767
2014-07-29$238.74$250.0016.9%4.9%13.1%16.8%17.0%1.2%-0.6%-320.8K18.7M-267.2K3.0791.67N/AN/A28864,6093,788
2014-07-30$240.03$250.0017.2%4.9%13.2%18.0%16.6%2.1%-0.4%-137.1K16.8M-268.5K1.3692.39N/AN/A1171594,6253,766
2014-07-31$235.15$250.0020.4%5.8%14.7%34.4%20.9%0.7%-2.0%-642.1K25.5M-258.9K2.1992.67N/AN/A972124,6833,900